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dc.contributor.authorChoi, Hyung-Suken_US
dc.date.accessioned2009-01-22T15:49:01Z
dc.date.available2009-01-22T15:49:01Z
dc.date.issued2008-11-17en_US
dc.identifier.urihttp://hdl.handle.net/1853/26597
dc.description.abstractThree Essays on Stock Market Seasonality Hyung-Suk Choi 136 pages Directed by Dr. Cheol S. Eun In chapter 1, we examine seasonality in returns to style portfolios, which serve as important benchmarks for asset allocation, and investigate its implications for investment. In doing so, we consider monthly returns on the style portfolios classified by six size/book-to-market sorting and six size/prior-return sorting over the sample period 1927 - 2006. The key findings are: first, as is well documented in the literature, small-cap oriented portfolios are subject to the January effect, but also to the 'negative' September and October effects. Second, cross-style return dispersion exhibits a seasonal pattern of its own (it is largest in January and smallest in August), suggesting possibly profitable trading strategies. Third, our seasonal strategies indeed yield significant profits, as high as about 18.7 % per annum. This profit is mostly attributable to the seasonal autocorrelation in style returns. Lastly, we find substantial seasonal patterns in style returns not only in the U.S. but also in other major stock markets Germany, Japan, and the U.K. Our seasonal style rotation strategy yields economically and statistically significant profits in all of these stock markets. In chapter 2, we examine the abnormal, negative stock returns in September which have received little attention from academic researchers. We find that in most of the 18 developed stock markets the mean return in September is negative and in 15 countries it is significantly lower than the unconditional monthly mean return. This September effect has not weakened in the recent period. Further, the examinations of the various style portfolios in the US market show that the September effect is the most pervasive anomalous phenomenon that is not affected by size, book-to-market ratio, past performance, or industry. Our finding suggests that the forward looking nature of stock prices combined with the negative economic growth in the last quarter causes the September effect. Especially in the fall season when most investors become more risk averse, the stock prices reflect the future economic growth more than the rest of the year. Our investment strategy based on the September effect yields a higher mean return and a lower standard deviation than the buy-and-hold strategy. In chapter 3, we establish the presence of seasonality in the cash flows to the U.S. domestic mutual funds. January is the month with the highest net cash flows to equity funds and December is the month with the lowest net cash flows. The large net flows in January are attributed to the increased purchases, and the small net flows in December are due to the increased redemptions. Thus, the turn-of-the-year period is the time when most mutual fund investors make their investment decisions. We offer the possible sources for the seasonality in mutual funds flows.en_US
dc.publisherGeorgia Institute of Technologyen_US
dc.subjectInvestment strategyen_US
dc.subjectInvestor behavioren_US
dc.subjectSeasonalityen_US
dc.subject.lcshStock exchanges
dc.subject.lcshSeasonal variations (Economics)
dc.subject.lcshMutual funds
dc.subject.lcshCash flow
dc.titleThree essays on stock market seasonalityen_US
dc.typeDissertationen_US
dc.description.degreePh.D.en_US
dc.contributor.departmentManagementen_US
dc.description.advisorCommittee Chair: Eun, Cheol; Committee Member: Jayaraman, Narayanan; Committee Member: Kilic, Rehim; Committee Member: Lee, Suzanne; Committee Member: Wang, Qinghaien_US


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